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ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News, and Intervention

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  • Rasmus Fatum

    ()

  • Michael Hutchison

    ()

Abstract

Using a unique intervention “news†data set, this paper investigates the impact of ECB intervention and intervention-related news (newswire reports) on the Euro exchange rate. A time-series study of news generated by ECB officials and market participants regarding intervention and the value of the Euro as well as an event study of firm reports of ECB intervention is conducted. Both studies find significant short-run effects on the Euro value, while only “negative†statements (official statements denying past intervention or ruling out future intervention) appear to have persistent effects. Copyright Kluwer Academic Publishers 2002

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Bibliographic Info

Article provided by Springer in its journal Open Economies Review.

Volume (Year): 13 (2002)
Issue (Month): 4 (October)
Pages: 413-425

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Handle: RePEc:kap:openec:v:13:y:2002:i:4:p:413-425

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Web page: http://www.springerlink.com/link.asp?id=100323

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Keywords: foreign exchange market intervention; Euro; central bank intervention;

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  1. Gabriele Galati & Corrinne Ho, 2001. "Macroeconomic news and the euro/dollar exchange rate," BIS Working Papers 105, Bank for International Settlements.
  2. Fatum, Rasmus, 2000. "On the effectiveness of sterilized foreign exchange intervention," Working Paper Series 0010, European Central Bank.
  3. Owen F. Humpage, 1996. "U.S. intervention: assessing the probability of success," Working Paper 9608, Federal Reserve Bank of Cleveland.
  4. Fatum, Rasmus & Hutchison, Michael, 1999. "Is Intervention a Signal of Future Monetary Policy? Evidece from the Federal Funds Futures Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(1), pages 54-69, February.
  5. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
  6. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
  7. Kathryn Dominguez & Jeffrey A. Frankel, 1990. "Does Foreign Exchange Intervention Work?," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 16.
  8. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September.
  9. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  10. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
  11. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.
  12. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
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  1. Considering QE, Mario? Buy US Bonds, Not Eurozone Bonds
    by jfrankel in Jeff Frankels Weblog on 2014-03-16 14:35:37
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